Lauren STAGNOL, Christian LOPEZ, Thierry RONCALLI, Bruno TAILLARDAT
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This article assesses the communication of the European Central Bank (ECB) using Natural Language Processing (NLP) techniques. We show the evolution of discourse over time and capture the main themes of interest for the central bank that go beyond its traditional mandate of maintaining price stability, enlightening main concerns and themes of discussion among board members.
Roberta FORTES, Theo LE GUENEDAL
Like ESG investing, climate change is an important concern for asset managers and owners, and a new challenge for portfolio construction. Until now, investors have mainly measured carbon risk using fundamental approaches, such as with carbon intensity metrics. Nevertheless, it has not been proven that asset prices are directly impacted by these fundamental-based measures. In this paper, we focus on another approach, which consists in measuring the sensitivity of stock prices with respect to a carbon risk factor. In our opinion, carbon betas are market-based measures that are complementary to carbon intensities or fundamental-based measures when managing investment portfolios, because carbon betas may be viewed as an extension or forward-looking measure of the current carbon footprint. In particular, we show how this new metric can be used to build minimum variance strategies and how they impact their portfolio construction.
Théo RONCALLI, Theo LE GUENEDAL, Fréderic LEPETIT, Thierry RONCALLI, Takaya SEKINE
We analyze the portfolio choices of approximately 913,000 active participants in employee saving plans in France. Looking at the cross-section of equity exposure, we find that the inclusion of responsible equity options in the menu of available funds is associated with a 2.1% higher equity allocation by plan participants.
Marie BRIERE, Stefano RAMELLI
This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions. The first dimension covers liability liquidity risk (or funding liquidity) modeling, the second dimension focuses on asset liquidity risk (or market liquidity) modeling, and the third dimension considers asset-liability liquidity risk management (or asset-liability matching).
Thierry RONCALLI, Fatma KARRAY-MEZIOU, François PAN, Margaux REGNAULT
The green bond market has increased exponentially since the first issuance in 2007. Nevertheless, we continue to observe a large imbalance between supply and demand because of the huge appetite from institutional ESG investors. The purpose of this study is then to determine if green bonds present lower yields than conventional bonds in the secondary market. This yield difference is known as the green bond premium or greenium.
Mohamed BEN SLIMANE , Dany Da Fonseca, Vivek Mahtani
Walid TALEB, Theo LE GUENEDAL, Fréderic LEPETIT, Vincent MORTIER, Takaya SEKINE, Lauren STAGNOL
Professor - Conservatoire National des Arts et Métiers, Senior Advisor, Amundi
This paper presents a simple holistic approach to build climate risk-resilient investment portfolios based on the three key objectives of the Paris Agreement: climate change mitigation, climate change adaptation, alignment of financial flows with a low-carbon, climate resilient pathway. We explain the financial rationale to adopt such an approach and identify the appropriate investment metrics for portfolio construction, as well as building an innovative investment framework that can be applied across geographies and asset classes. We illustrate how this framework can be implemented to construct a bond portfolio across Asian Infrastructure Investment Bank (AIIB) member geographies and propose a governance mechanism to support positive externalities in the building of sustainable capital markets.
AIIB, Amundi Research